London Business School

About: London Business School is a education organization based out in London, England, United Kingdom. It is known for research contribution in the topics: Portfolio & Equity (finance). The organization has 1138 authors who have published 5118 publications receiving 437980 citations. The organization is also known as: LBS.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Abstract: Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk-premium, and skewness to adjust expected returns leads to a substantial improvement in the Sharpe ratio, even after prohibiting shortsales and accounting for transactions costs.

Measuring convergence of the ec economies

Abstract: The success of the EC's plans for economic and political integration depends upon the degree of economic convergence of the national economies. The study of convergence is concerned with the relative long-run behavior of a number of time series and therefore involves the simultaneous analysis of time series and cross-section data. Alternative measures of convergence are outlined and a preferred approach based on both cointegration and time-varying parameter (Kalman filter) analysis is outlined. These are then used to measure EC convergence. The broad conclusions are that convergence has been taking place within the EC economies but that it is a much slower and more protracted process than many commentators suggest. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester

‘I don't know why’ — Accounting for the scarcity of women in ICT work

Abstract: Synopsis The current state of gender in society can best be described as conflicting. On the one hand gender seems to have changed a lot but on the other hand it seems to have changed little. One area where changes in gender relations are visible is women's increased presence in information communication technology (ICT) work. However, women still constitute a minority in this sector. In this article, a discourse analysis is used to illustrate the resources to which ICT workers have access when explaining the scarcity of women in ICT work. The different discursive strategies discussed include attributing the scarcity of women in ICT work to factors over which the company has no control, such as socialisation, biology and women's disinterest in technology. It is argued that the use of ‘I don't know’ segments reflects the confusing nature gender takes today. The article thus contributes towards an understanding of the discursive resources on which people draw to talk about gender and how fluid, shifting and partly conflicting these resources are.